centre for microdata methods and practice

ESRC centre

cemmap is an ESRC research centre

ESRC

Keep in touch

Subscribe to cemmap news

Identification and estimation of nonparametric panel data regressions with measurement error

Authors: Daniel Wilhelm
Date: 02 July 2015
Type: cemmap Working Paper, CWP34/15
DOI: 10.1920/wp.cem.2015.3415

Abstract

This paper provides a constructive argument for identification of nonparametric panel data models with measurement error in a continuous explanatory variable. The approach point identifies all structural elements of the model using only observations of the outcome and the mismeasured explanatory variable; no further external variables such as instruments are required. In the case of two time periods, restricting either the structural or the measurement error to be independent over time allows past explanatory variables or outcomes to serve as instruments. Time periods have to be linked through serial dependence in the latent explanatory variable, but the transition process is left nonparametric. The paper discusses the general identification result in the context of a nonlinear panel data regression model with additively separable fixed effects. It provides a nonparametric plug-in estimator, derives its uniform rate of convergence, and presents simulation evidence for good performance in finite samples.

Download full version

Publications feeds

Subscribe to cemmap working papers via RSS

Search cemmap

Search by title, topic or name.

Contact cemmap

Centre for Microdata Methods and Practice

How to find us

Tel: +44 (0)20 7291 4800

E-mail us